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Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era Author info | Abstract | Publisher info | Download info | Related research | Statistics Francis W. Ahking (University of Connecticut)
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We apply the efficient unit-roots tests of Elliott, Rothenberg, and Stock (1996), and Elliott (1998) to twenty-one real exchange rates using monthly data of the G-7 countries from the post-Bretton Woods floating exchange rate period. Our results indicate that, for eighteen out of the twenty-one real exchange rates, the null hypothesis of a unit root can be rejected at the 10% significance level or better using the Elliot et al (1996) DF-GLS test. The unit-root null hypothesis is also rejected for one additional real exchange rate when we allow for one endogenously determined break in the time series of the real exchange rate as in Perron (1997). In all, we find favorable evidence to support long-run purchasing power parity in nineteen out of twenty-one real exchange rates. Second, we find no strong evidence to suggest that the use of non-U.S. dollar-based real exchange rates tend to produce more favorable result for long-run PPP than the use of U.S. dollar-based real exchange rates as Lothian (1998) has concluded.
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Paper provided by University of Connecticut, Department of Economics in its series Working papers with number
2002-17.
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Length: 19 pages
Date of creation: 2002Date of revision:
Handle: RePEc:uct:uconnp:2002-17Contact details of provider: Postal: University of Connecticut 341 Mansfield Road, Unit 1063 Storrs, CT 06269-1063 Phone: (860) 486-4889 Fax: (860) 486-4463 Web page: http://www.econ.uconn.edu/ More information through EDIRC
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Find related papers by JEL classification: E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Sofiane H. Sekioua, 2004.
"Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the dominant root and half-lives of shocks ,"
Money Macro and Finance (MMF) Research Group Conference 2004
91, Money Macro and Finance Research Group.
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